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題名 比特加密貨幣指數之間的波動度外溢效果的實證研究
Analysing the volatility spillovers between cryptocurrency indices作者 任魯姆
Ramadani, Lumta貢獻者 蔡政憲
Tsai, Jason
任魯姆
Lumta Ramadani關鍵詞 比特幣
加密貨幣
以太坊
GARCH模型
波動度外溢
Bitcoin
Cryptocurrencies
Ethereum
GARCH models
Volatility Spillovers日期 2022 上傳時間 1-Aug-2022 17:41:56 (UTC+8) 摘要 The research analyses the volatility spillovers of the S&P Bitcoin and the S&P Ethereum Indexes as a hot research topic nowadays. This market is growing, thus it is important for investors and policy makers to understand the price volatility and make better investment and policy decisions. The data is extracted online from the S&P Cryptocurrency Index from the period April 2016 to April 2022. The data was chosen before COVID-19, and the impact of the virus on these two indices up to April, 2022. The results show a volatility clustering between these two indices. Moreover, the news in the S&P Bitcoin Index price returns impact largely the future volatility of the S&P Index price returns, and vice versa. There is a lack of literature for the Ethereum market, and researchers need to conduct research on this yet new market. Therefore, we hope that our thesis empirical research can influence future researchers to conduct more research in this field. 參考文獻 Alexander, C., Choi, J., Massie, H. and Sohn, S., 2020. Price Discovery and Microstructure in Ether Spot and Derivative Markets. SSRN Electronic Journal,.Auer, R. and Claessens, S., 2018. Regulating cryptocurrencies: assessing market reactions. BIS Quarterly Review September. Baur, D., Hong, K. and Lee, A., 2018. Bitcoin: Medium of exchange or speculative assets?. Journal of International Financial Markets, Institutions and Money, 54, pp.177-189. Begu, L.S., Spătaru, S. and Marin, E., 2012. Investigating the Evolution of RON/EUR Exchange Rate: The Choice of Appropriate Model. Journal of Social and Economic Statistics, 1(2), pp.23-39. Brandvold, M., Molnár, P., Vagstad, K. and Andreas Valstad, O., 2015. Price discovery on Bitcoin exchanges. Journal of International Financial Markets, Institutions and Money, 36, pp.18-35. Bouoiyour, J. and Selmi, R., 2015. What does Bitcoin look like?. Annals of Economics & Finance, 16(2). Borri, N. and Shakhnov, K., 2020. Regulation spillovers across cryptocurrency markets. Finance Research Letters, 36, p.101333. Bouri, E., Molnár, P., Azzi, G., Roubaud, D. and Hagfors, L., 2017. On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?. Finance Research Letters, 20, pp.192-198. Casals, J., Jerez, M. and Sotoca, S., 2000. Exact smoothing for stationary and non-stationary time series. International Journal of Forecasting, 16(1), pp.59-69. Chokor, A. and Alfieri, E., 2021. Long and short-term impacts of regulation in the cryptocurrency market. The Quarterly Review of Economics and Finance, 81, pp.157-173. Ciaian, P., Rajcaniova, M. and Kancs, d., 2016. The economics of BitCoin price formation. Applied Economics, 48(19), pp.1799-1815. Cheah, E. and Fry, J., 2015. Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin. Economics Letters, 130, pp.32-36. Corbet, S., Lucey, B., Urquhart, A. and Yarovaya, L., 2019. Cryptocurrencies as a financial asset: A systematic analysis. International Review of Financial Analysis, 62, pp.182-199. Corbet, S., Meegan, A., Larkin, C., Lucey, B. and Yarovaya, L., 2018. Exploring the dynamic relationships between cryptocurrencies and other financial assets. Economics Letters, 165, pp.28-34. Corbet, S., Larkin, C., Lucey, B., 2020. The contagion effects of the covid-19 pandemic: Evidence from gold and cryptocurrencies. Finance Research Letters 101554. Dyhrberg, A., 2016. Bitcoin, gold and the dollar – A GARCH volatility analysis. Finance Research Letters, 16, pp.85-92. Engle, R. and Kroner, K., 1995. Multivariate Simultaneous Generalised ARCH. Econometric Theory, 11(1), pp.122-150. Fama, E.F., 1970. Efficient market hypothesis: A review of theory and empirical work. Journal of Finance, 25(2), pp.28-30. Ferretti, S. and D`Angelo, G., 2019. On the Ethereum blockchain structure: A complex networks theory perspective. Concurrency and Computation: Practice and Experience, 32(12). Frisby, D., 2014. Bitcoin: the future of money?. Unbound Publishing. Georgoula, I., Pournarakis, D., Bilanakos, C., Sotiropoulos, D. and Giaglis, G., 2015. Using Time-Series and Sentiment Analysis to Detect the Determinants of Bitcoin Prices. SSRN Electronic Journal. Geng, J., Chen, F., Ji, Q. and Liu, B., 2021. Network connectedness between natural gas markets, uncertainty and stock markets. Energy Economics, 95, p.105001. Huang, Y., Duan, K. and Mishra, T., 2021. Is Bitcoin really more than a diversifier? A pre- and post-COVID-19 analysis. Finance Research Letters, 43, p.102016. Katsiampa, P., Corbet, S. and Lucey, B., 2019. Volatility spillover effects in leading cryptocurrencies: A BEKK-MGARCH analysis. Finance Research Letters, 29, pp.68-74. Katsiampa, P., 2017. Volatility estimation for Bitcoin: A comparison of GARCH models. Economics Letters, 158, pp.3-6. Katsiampa, P., 2019. Volatility co-movement between Bitcoin and Ether. Finance Research Letters, 30, pp.221-227. Khuntia, S. and Pattanayak, J., 2018. Adaptive market hypothesis and evolving predictability of bitcoin. Economics Letters, 167, pp.26-28. Kristoufek, L., 2013. BitCoin meets Google Trends and Wikipedia: Quantifying the relationship between phenomena of the Internet era. Scientific Reports, 3(1). Kroll, J.A., Davey, I.C. and Felten, E.W., 2013, June. The economics of Bitcoin mining, or Bitcoin in the presence of adversaries. In Proceedings of WEIS (Vol. 2013, No. 11). Kondo, M., Oliva, G., Jiang, Z., Hassan, A. and Mizuno, O., 2020. Code cloning in smart contracts: a case study on verified contracts from the Ethereum blockchain platform. Empirical Software Engineering, 25(6), pp.4617-4675. Li, X. and Wang, C., 2017. The technology and economic determinants of cryptocurrency exchange rates: The case of Bitcoin. Decision Support Systems, 95, pp.49-60. Nakamoto, S., 2008. Bitcoin: A Peer-to-Peer Electronic Cash System. SSRN Electronic Journal, [online] Available at: 描述 碩士
國立政治大學
國際經營管理英語碩士學位學程(IMBA)
109933049資料來源 http://thesis.lib.nccu.edu.tw/record/#G0109933049 資料類型 thesis dc.contributor.advisor 蔡政憲 zh_TW dc.contributor.advisor Tsai, Jason en_US dc.contributor.author (Authors) 任魯姆 zh_TW dc.contributor.author (Authors) Lumta Ramadani en_US dc.creator (作者) 任魯姆 zh_TW dc.creator (作者) Ramadani, Lumta en_US dc.date (日期) 2022 en_US dc.date.accessioned 1-Aug-2022 17:41:56 (UTC+8) - dc.date.available 1-Aug-2022 17:41:56 (UTC+8) - dc.date.issued (上傳時間) 1-Aug-2022 17:41:56 (UTC+8) - dc.identifier (Other Identifiers) G0109933049 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/141134 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營管理英語碩士學位學程(IMBA) zh_TW dc.description (描述) 109933049 zh_TW dc.description.abstract (摘要) The research analyses the volatility spillovers of the S&P Bitcoin and the S&P Ethereum Indexes as a hot research topic nowadays. This market is growing, thus it is important for investors and policy makers to understand the price volatility and make better investment and policy decisions. The data is extracted online from the S&P Cryptocurrency Index from the period April 2016 to April 2022. The data was chosen before COVID-19, and the impact of the virus on these two indices up to April, 2022. The results show a volatility clustering between these two indices. Moreover, the news in the S&P Bitcoin Index price returns impact largely the future volatility of the S&P Index price returns, and vice versa. There is a lack of literature for the Ethereum market, and researchers need to conduct research on this yet new market. Therefore, we hope that our thesis empirical research can influence future researchers to conduct more research in this field. en_US dc.description.tableofcontents 1. Introduction of the cryptocurrency market 1 2. The overview of cryptocurrency market 4 2.1 The price discovery on Bitcoin market 4 2.2 The price discovery on ether 6 3. Research purpose 6 4. Literature review 8 4.1 Speculative bubbles in Bitcoin market 8 4.2 Market efficiency 9 4.3 The volatility of cryptocurrency price returns 10 4.4 Diversification benefits of the cryptocurrencies 12 4.5 Regulation in the cryptocurrency market 13 5. Data and Methodology 14 5.1 Description of data 14 5.2 Unit Root Test 15 5.3 ARCH LM Test 16 6. Econometric models 16 6.1 The GARCH (1,1) Model 17 6.2 Diagonal BEKK Multivariate GARCH Model 18 7. Empirical Results and Interpretations 19 8. Conclusion 28 9. References 29 10. Appendices 33 10.1 Appendix A: Unit Root Test 33 10.2 Appendix B: Descriptive statistics 35 10.3 Appendix C Heteroscedasticity Test 40 10.4 Appendix D: GARCH(1,1) model 45 10.5 Appendix E: Multivariate Diagonal BEKK GARCH 49 zh_TW dc.format.extent 888505 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0109933049 en_US dc.subject (關鍵詞) 比特幣 zh_TW dc.subject (關鍵詞) 加密貨幣 zh_TW dc.subject (關鍵詞) 以太坊 zh_TW dc.subject (關鍵詞) GARCH模型 zh_TW dc.subject (關鍵詞) 波動度外溢 zh_TW dc.subject (關鍵詞) Bitcoin en_US dc.subject (關鍵詞) Cryptocurrencies en_US dc.subject (關鍵詞) Ethereum en_US dc.subject (關鍵詞) GARCH models en_US dc.subject (關鍵詞) Volatility Spillovers en_US dc.title (題名) 比特加密貨幣指數之間的波動度外溢效果的實證研究 zh_TW dc.title (題名) Analysing the volatility spillovers between cryptocurrency indices en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Alexander, C., Choi, J., Massie, H. and Sohn, S., 2020. Price Discovery and Microstructure in Ether Spot and Derivative Markets. SSRN Electronic Journal,.Auer, R. and Claessens, S., 2018. Regulating cryptocurrencies: assessing market reactions. BIS Quarterly Review September. Baur, D., Hong, K. and Lee, A., 2018. Bitcoin: Medium of exchange or speculative assets?. Journal of International Financial Markets, Institutions and Money, 54, pp.177-189. Begu, L.S., Spătaru, S. and Marin, E., 2012. Investigating the Evolution of RON/EUR Exchange Rate: The Choice of Appropriate Model. Journal of Social and Economic Statistics, 1(2), pp.23-39. Brandvold, M., Molnár, P., Vagstad, K. and Andreas Valstad, O., 2015. Price discovery on Bitcoin exchanges. Journal of International Financial Markets, Institutions and Money, 36, pp.18-35. Bouoiyour, J. and Selmi, R., 2015. What does Bitcoin look like?. Annals of Economics & Finance, 16(2). Borri, N. and Shakhnov, K., 2020. Regulation spillovers across cryptocurrency markets. Finance Research Letters, 36, p.101333. Bouri, E., Molnár, P., Azzi, G., Roubaud, D. and Hagfors, L., 2017. On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?. Finance Research Letters, 20, pp.192-198. Casals, J., Jerez, M. and Sotoca, S., 2000. Exact smoothing for stationary and non-stationary time series. International Journal of Forecasting, 16(1), pp.59-69. Chokor, A. and Alfieri, E., 2021. Long and short-term impacts of regulation in the cryptocurrency market. The Quarterly Review of Economics and Finance, 81, pp.157-173. Ciaian, P., Rajcaniova, M. and Kancs, d., 2016. The economics of BitCoin price formation. Applied Economics, 48(19), pp.1799-1815. Cheah, E. and Fry, J., 2015. Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin. Economics Letters, 130, pp.32-36. Corbet, S., Lucey, B., Urquhart, A. and Yarovaya, L., 2019. Cryptocurrencies as a financial asset: A systematic analysis. International Review of Financial Analysis, 62, pp.182-199. Corbet, S., Meegan, A., Larkin, C., Lucey, B. and Yarovaya, L., 2018. Exploring the dynamic relationships between cryptocurrencies and other financial assets. Economics Letters, 165, pp.28-34. Corbet, S., Larkin, C., Lucey, B., 2020. The contagion effects of the covid-19 pandemic: Evidence from gold and cryptocurrencies. Finance Research Letters 101554. Dyhrberg, A., 2016. Bitcoin, gold and the dollar – A GARCH volatility analysis. Finance Research Letters, 16, pp.85-92. Engle, R. and Kroner, K., 1995. Multivariate Simultaneous Generalised ARCH. Econometric Theory, 11(1), pp.122-150. Fama, E.F., 1970. Efficient market hypothesis: A review of theory and empirical work. Journal of Finance, 25(2), pp.28-30. Ferretti, S. and D`Angelo, G., 2019. On the Ethereum blockchain structure: A complex networks theory perspective. Concurrency and Computation: Practice and Experience, 32(12). Frisby, D., 2014. Bitcoin: the future of money?. Unbound Publishing. Georgoula, I., Pournarakis, D., Bilanakos, C., Sotiropoulos, D. and Giaglis, G., 2015. Using Time-Series and Sentiment Analysis to Detect the Determinants of Bitcoin Prices. SSRN Electronic Journal. Geng, J., Chen, F., Ji, Q. and Liu, B., 2021. Network connectedness between natural gas markets, uncertainty and stock markets. Energy Economics, 95, p.105001. Huang, Y., Duan, K. and Mishra, T., 2021. Is Bitcoin really more than a diversifier? A pre- and post-COVID-19 analysis. Finance Research Letters, 43, p.102016. Katsiampa, P., Corbet, S. and Lucey, B., 2019. Volatility spillover effects in leading cryptocurrencies: A BEKK-MGARCH analysis. Finance Research Letters, 29, pp.68-74. Katsiampa, P., 2017. Volatility estimation for Bitcoin: A comparison of GARCH models. Economics Letters, 158, pp.3-6. Katsiampa, P., 2019. Volatility co-movement between Bitcoin and Ether. Finance Research Letters, 30, pp.221-227. Khuntia, S. and Pattanayak, J., 2018. Adaptive market hypothesis and evolving predictability of bitcoin. Economics Letters, 167, pp.26-28. Kristoufek, L., 2013. BitCoin meets Google Trends and Wikipedia: Quantifying the relationship between phenomena of the Internet era. Scientific Reports, 3(1). Kroll, J.A., Davey, I.C. and Felten, E.W., 2013, June. The economics of Bitcoin mining, or Bitcoin in the presence of adversaries. In Proceedings of WEIS (Vol. 2013, No. 11). Kondo, M., Oliva, G., Jiang, Z., Hassan, A. and Mizuno, O., 2020. Code cloning in smart contracts: a case study on verified contracts from the Ethereum blockchain platform. Empirical Software Engineering, 25(6), pp.4617-4675. Li, X. and Wang, C., 2017. The technology and economic determinants of cryptocurrency exchange rates: The case of Bitcoin. Decision Support Systems, 95, pp.49-60. Nakamoto, S., 2008. Bitcoin: A Peer-to-Peer Electronic Cash System. SSRN Electronic Journal, [online] Available at: zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202200763 en_US
